The KPSS test with outliers

DOI10.1007/S10614-005-9008-0zbMATH Open1101.62077OpenAlexW2028941402WikidataQ59200943 ScholiaQ59200943MaRDI QIDQ2432013FDOQ2432013

Authors: Jesus Otero, Jeremy Smith 

Publication date: 25 October 2006

Published in: Computational Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10614-005-9008-0

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zbMATH Keywords

outlierstablesMonte CarlopowersizeKPSS test

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05)

Cites Work

• A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
• Joint Estimation of Model Parameters and Outlier Effects in Time Series
• Testing the null hypothesis of stationarity against the alternative of a unit root. How sure are we that economic time series have a unit root?
• The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis

Cited In (1)

• The effects of additive outliers on the seasonal KPSS test: a Monte Carlo analysis

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